Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0098 |
| Annualized Std Dev | 0.0870 |
| Annualized Sharpe (Rf=0%) | 0.1126 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3386.0000 |
| NAs | 1.0000 |
| Minimum | -0.0531 |
| Quartile 1 | -0.0028 |
| Median | 0.0002 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0030 |
| Maximum | 0.0336 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0055 |
| Skewness | -0.3905 |
| Kurtosis | 7.3701 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0040 |
| Gain Deviation | 0.0037 |
| Loss Deviation | 0.0040 |
| Downside Deviation (MAR=210%) | 0.0098 |
| Downside Deviation (Rf=0%) | 0.0039 |
| Downside Deviation (0%) | 0.0039 |
| Maximum Drawdown | 0.2017 |
| Historical VaR (95%) | -0.0084 |
| Historical ES (95%) | -0.0125 |
| Modified VaR (95%) | -0.0087 |
| Modified ES (95%) | -0.0166 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-08-24 | 2015-11-09 | NA | -0.2017 | 2409 | 1060 | NA |
| 2008-03-17 | 2008-10-10 | 2009-10-08 | -0.1835 | 396 | 146 | 250 |
| 2009-12-02 | 2010-06-07 | 2010-10-05 | -0.1378 | 212 | 128 | 84 |
| 2010-11-05 | 2011-01-07 | 2011-04-28 | -0.0890 | 120 | 44 | 76 |
| 2007-11-27 | 2007-12-17 | 2008-02-27 | -0.0472 | 63 | 15 | 48 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 | -0.8 | 0.7 | -0.2 |
| 2008 | 0.3 | 0.8 | -1.3 | -1.4 | 0.3 | -0.1 | -0.3 | -0.4 | 0.1 | -0.6 | 0.1 | -0.7 | -3.3 |
| 2009 | -1.2 | -0.5 | 0.2 | 0.6 | 0 | 0.5 | 2.1 | -0.9 | -0.5 | 0.1 | 0.6 | 0.1 | 0.9 |
| 2010 | -0.1 | -0.6 | 0 | 0.9 | 0.5 | 1 | 0.4 | -0.3 | 0.4 | -0.2 | 0.2 | 0.9 | 3 |
| 2011 | 0.7 | -0.1 | 0 | 0.4 | -0.4 | -0.1 | -0.7 | -0.5 | -0.8 | -1.2 | -0.3 | 0.3 | -2.8 |
| 2012 | 0.7 | 0 | 0.3 | -0.2 | 0.5 | 1.2 | -0.6 | 0.5 | -0.2 | -0.4 | 0 | -0.2 | 1.5 |
| 2013 | -0.5 | -0.7 | 0 | 0.1 | -0.3 | 0.1 | -1.2 | 0 | 0.2 | -0.9 | 0 | 0 | -3.2 |
| 2014 | 0.1 | 0.4 | -0.2 | 0.1 | -0.1 | -0.1 | 0.2 | -0.3 | 0.2 | -0.8 | 0.3 | -0.4 | -0.7 |
| 2015 | 0.4 | 0.1 | 0.3 | -0.6 | -0.9 | -0.7 | 0.6 | 0.9 | 0.5 | 0.5 | 0.5 | -0.1 | 1.6 |
| 2016 | 0.3 | -0.1 | 0.1 | 0.9 | 0.4 | 0.6 | -0.4 | 0.3 | -0.3 | 0.4 | 0.4 | 0.2 | 2.6 |
| 2017 | -0.2 | -1 | 0.3 | 0 | 0 | -0.2 | 0.1 | -0.5 | 0 | -0.3 | 0.5 | 0.4 | -1 |
| 2018 | 0.1 | 0.2 | 0.4 | -0.8 | -0.4 | 0.5 | -0.6 | -0.4 | -0.4 | 0.6 | -0.1 | 0.3 | -0.5 |
| 2019 | -0.1 | -0.3 | -0.4 | -0.1 | 0.5 | -0.7 | 0.3 | -0.6 | -0.3 | 0.1 | -0.1 | 0.4 | -1.4 |
| 2020 | 0.4 | 0.9 | -0.9 | 0 | 0 | -0.3 | -0.7 | 0 | 0.2 | 0 | 0.1 | -0.2 | -0.4 |
| 2021 | -0.7 | 0.3 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-10-05 26.0 SPY 156. 0.0119 0.0214 0.0521 0.0186 0.155 0.368 0.894 GLD 73.4 0.0073 -0.0015
2 2007-10-08 26.2 SPY 155. -0.0053 0.0047 0.0613 0.0272 0.147 0.352 0.919 GLD 72.5 -0.0119 -0.0185
3 2007-10-09 26.1 SPY 156. 0.0094 0.0155 0.0733 0.0295 0.159 0.379 0.978 GLD 73.1 0.0077 0.0102
4 2007-10-10 26.2 SPY 156. -0.0017 0.0159 0.0592 0.0119 0.156 0.388 0.944 GLD 73.4 0.0037 0.0203
5 2007-10-11 26.0 SPY 155. -0.00480 0.0094 0.0514 0.004 0.149 0.376 0.991 GLD 73.9 0.0075 0.0143
6 2007-10-12 25.9 SPY 156. 0.0055 0.0031 0.0498 0.0097 0.157 0.389 0.939 GLD 74.6 0.0092 0.0162
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
